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dakila wrote:After the estimation, variables named _facrot1 _facrot2 ... will be created.

hi. can you help me to esimation favar model?
After estimating favar model this message appears:"Missing Value found in covariance/correlation matrix"

dakila wrote:After the estimation, variables named _facrot1 _facrot2 ... will be created.

aftar the estimation variables are create. now how i estimation FAVAR model?How to obtain the number of lags?
thank u.

Where T>N: %start = "1960q1" %endminusone = "2002q4-1" !noiterations = 20 for !j = 1 to !noiterations smpl {%start}+1 {%endminusone}+!j 'Stock and Watson (2002) - I(0) factors where T>N stom(g1_standstat1,X) scalar T = @rows(X) scalar N = @columns(X) 'maximum number of factors: ...

dakila wrote:I could not understand the questions. I never mentioned I(0) and I(1) factors. The add-in replicates Bernanke Boivin Eliasz (2005).

can You help me to find number of factors in Favar model?

hi im working favar model with Eviews and I thank you for your guidance. I have a few questions 1- what do you mean from I(0),I(1) factors?You're talking about stability? 2-when I run program[ 'Stock and Watson (2002) - I(0) factors where T>N] "for statement unterminated in "for !J=1 to 20...

hi im working favar model with Eviews and I thank you for your guidance. I have a few questions 1- what do you mean from I(0),I(1) factors?You're talking about stability? 2-when I run program[ 'Stock and Watson (2002) - I(0) factors where T>N] "for statement unterminated in "for !J=1 to 20...

hi im working favar model with Eviews and I thank you for your guidance. I have a few questions 1- what do you mean from I(0),I(1) factors?You're talking about stability? 2-when I run program[ 'Stock and Watson (2002) - I(0) factors where T>N] "for statement unterminated in "for !J=1 to 20...